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Enron Mail |
??? ??? Dear Tanya:
? ??? ??? ??? It was a great pleasure to have met you. I very much enjoyed the interview and your insightfull questions. ? ??? ??? I am keenly aware that many of the methods that I discussed with you yesterday are unique, new?and not reported elsewhere. This is true both about the work I did in whole yield curve interest rate pricing?as well as GARCH. The innovations stem from the extensive numerical analysis experience that I have both in turbulence physics as well as finance. They entailed considering the problem from its raw formulation, mathematical analysis, physical interpretation, taylored numerical method development, software writting and develoment and data management. ? ??? ??? As to why I have not yet published anything the answer is that the driver in my work has been adding value to the business not publishing. Publishing is however an option that has always been open with my former supervisor who is aware of the work that I did. ? ??? ??? I not however that these results were possible only by exploring to the utmost extent the mathematics, finance, software design and data managemnet aspects of the problem. Absence of any of these aspects is likely to cripple performance and execution. ? ??? ??? Please recall that as good as they were the performance measures that I mentioned to you were for a single processor machine. Vastly better can be achieved with both soft parallelism (multithreading) as well as hard parallelism (heterogenous network). This fo course allows us to step up the reach of the models used. ? ??? ??? In fact I know for a fact that better can be done than what I mentioned in the interview. From work that I have been doing on the integration of the swaption volatility surface on the whole yield curve interest rate model ITM and OTM instruments can be included in both the callibration, pricing and hedging. ? ??? ??? I look forward hearing back from you soon and particularly to the opportunity of us cooperating. ? ??? ??? Best regards ? ??? ??? Joao
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